Forecasting Stock Price Volatility - An Indian Perspective - Prabhakaran, K.;Varadaraj, S.
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The book threw light on the growth and development of the stock market and observed that the development of the stock market highly depends on volatility and forecasting is an important area of research in financial market. The book measured the extent of stock price volatility in select companies of Automobile, Infrastructure, Manufacturing, Pharmaceutical and Services and identified suitable model for forecasting the volatility of the share prices in India. It evaluated the comparative ability of different statistical and econometric forecasting models in the context of Indian Stocks. Three…mehr

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Produktbeschreibung
The book threw light on the growth and development of the stock market and observed that the development of the stock market highly depends on volatility and forecasting is an important area of research in financial market. The book measured the extent of stock price volatility in select companies of Automobile, Infrastructure, Manufacturing, Pharmaceutical and Services and identified suitable model for forecasting the volatility of the share prices in India. It evaluated the comparative ability of different statistical and econometric forecasting models in the context of Indian Stocks. Three different competing models were considered for the book and for forecasting performance of different models two forecasting error statistics viz., Root Mean Square Error (RMSE) and the Mean Absolute Error (MAE) were used and the best model was suggested for each sector. The EGARCH model provides the most accurate forecast compared to other competing models in the book. The book also made a few observations which may help the investors to understand better about the stock market.
Autorenporträt
Dr. K. Prabhakaran has more than 10 years of experience in Teaching and Research. He is a SEBI Certified Financial Education Resource Person & NSE Certified Market Professional. Dr. S. Varadaraj around 30 years of Teaching and Research experience. He is Associate professor of Management, Gobi Arts and Science College, Gobichettipalayam, Tamilnadu.